The increase in atmospheric oxygen levels imposed significant environmental pressure on primitive organisms concerning intracellular oxygen concentration management. Evidence suggests the rise of cholesterol, a key molecule for cellular membrane organization, as a cellular strategy to restrain free oxygen diffusion under the new environmental conditions. During evolution and the increase in organismal complexity, cholesterol played a pivotal role in the establishment of novel and more complex functions associated with lipid membranes. Of these, caveolae, cholesterol-rich membrane domains, are signaling hubs that regulate important in situ functions. Evolution resulted in complex respiratory systems and molecular response mechanisms that ensure responses to critical events such as hypoxia facilitated oxygen diffusion and transport in complex organisms. Caveolae have been structurally and functionally associated with respiratory systems and oxygen diffusion control through their relationship with molecular response systems like hypoxia-inducible factors (HIF), and particularly as a membrane-localized oxygen sensor, controlling oxygen diffusion balanced with cellular physiological requirements. This review will focus on membrane adaptations that contribute to regulating oxygen in living systems.